Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 5 | 6 | 5 |
| Score | -1.37 | -0.59 | -0.57 |
| Market Cap (Millions USD) | 3396.88 | 4238.99 | 4335.29 |
| Predicted Beta | 0.56 | 0.56 | 0.56 |
| Idiosyncratic Volatility | 1.41 | 1.75 | 2.24 |
Annualized return and volatility
| XLB | |
|---|---|
| Annualized Return | 0.0670 |
| Annualized Std Dev | 0.2357 |
| Annualized Sharpe (Rf=0%) | 0.2844 |
Row
Daily Return Statistics
| XLB | |
|---|---|
| Observations | 5112.0000 |
| NAs | 2.0000 |
| Minimum | -0.1241 |
| Quartile 1 | -0.0067 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0080 |
| Maximum | 0.1406 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0148 |
| Skewness | 0.0301 |
| Kurtosis | 6.2435 |
Downside Risk
| XLB | |
|---|---|
| Semi Deviation | 0.0106 |
| Gain Deviation | 0.0104 |
| Loss Deviation | 0.0109 |
| Downside Deviation (MAR=210%) | 0.0152 |
| Downside Deviation (Rf=0%) | 0.0104 |
| Downside Deviation (0%) | 0.0104 |
| Maximum Drawdown | 0.5982 |
| Historical VaR (95%) | -0.0235 |
| Historical ES (95%) | -0.0346 |
| Modified VaR (95%) | -0.0221 |
| Modified ES (95%) | -0.0333 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-05-21 | 2009-03-02 | 2013-05-08 | -0.5982 | 1270 | 202 | 1068 |
| 2000-01-07 | 2000-09-27 | 2003-12-01 | -0.3656 | 997 | 185 | 812 |
| 2015-02-25 | 2016-01-25 | 2016-12-05 | -0.2689 | 456 | 235 | 221 |
| 2018-01-29 | 2018-12-24 | NA | -0.2467 | 490 | 233 | NA |
| 2005-03-07 | 2005-10-13 | 2006-01-06 | -0.1684 | 216 | 157 | 59 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | XLB | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | 1.8 | -1.0 | 0.0 | -0.1 | 0.3 | 0.0 | 0.1 | -1.0 | 0.0 | -0.8 | 3.3 | 0.0 | 2.5 |
| 2001 | 0.5 | 0.1 | 0.0 | 1.1 | 0.8 | 0.0 | -0.5 | 0.0 | 0.3 | 2.2 | 0.0 | 0.0 | 4.7 |
| 2002 | -0.5 | 1.5 | -0.5 | 0.1 | 0.0 | -0.6 | -0.6 | 0.0 | 6.2 | 2.1 | 0.0 | 0.0 | 7.8 |
| 2003 | 0.0 | 0.0 | 1.1 | -0.7 | 0.0 | -0.2 | -1.0 | 0.0 | 1.7 | 0.0 | 3.0 | 0.0 | 3.8 |
| 2004 | 0.0 | 1.6 | 0.7 | 0.0 | -0.2 | -1.8 | 0.0 | 0.4 | 0.5 | 0.1 | 0.9 | 0.0 | 2.3 |
| 2005 | 0.8 | 0.1 | -0.3 | 0.0 | 1.5 | -0.1 | -0.5 | 0.3 | 0.0 | 0.3 | 2.0 | 0.0 | 4.2 |
| 2006 | 0.3 | 1.5 | 0.0 | 0.7 | 1.1 | 0.0 | -0.8 | 1.1 | 0.0 | -0.8 | -0.8 | 0.0 | 2.3 |
| 2007 | 1.2 | -0.4 | 0.0 | -0.4 | 1.4 | 0.0 | 0.6 | 0.0 | 1.9 | -3.5 | 0.0 | 0.0 | 0.7 |
| 2008 | 2.4 | 0.0 | 3.2 | -0.7 | 0.0 | -1.8 | -1.8 | 0.0 | -1.6 | 0.0 | -8.5 | 0.0 | -8.9 |
| 2009 | 0.0 | 0.0 | 2.0 | 0.2 | 3.1 | 0.2 | 0.0 | -3.0 | -3.9 | 0.0 | 1.9 | 0.0 | 0.4 |
| 2010 | 4.0 | 1.5 | 1.7 | 0.0 | -3.2 | -0.6 | 0.0 | 3.0 | 1.3 | -0.1 | 2.7 | 0.0 | 10.7 |
| 2011 | 2.7 | -2.5 | 0.4 | 0.0 | -3.1 | 0.9 | -0.3 | -1.4 | 0.0 | -2.7 | -0.6 | 0.0 | -6.6 |
| 2012 | 1.0 | 1.1 | 0.0 | 0.6 | -2.1 | 0.0 | 0.0 | 0.0 | 0.3 | 1.9 | 0.0 | 0.0 | 2.9 |
| 2013 | 1.2 | 0.1 | -0.9 | -1.8 | 0.0 | 0.6 | 0.7 | 0.0 | 0.4 | -0.2 | 0.0 | 0.0 | 0.1 |
| 2014 | 0.0 | 0.0 | 0.5 | -0.6 | 0.0 | 0.2 | 0.1 | 0.0 | -2.4 | 0.0 | -1.0 | 0.0 | -3.1 |
| 2015 | 0.0 | 0.0 | 0.3 | 1.6 | 0.0 | 0.6 | 0.0 | -3.0 | 1.1 | 0.0 | 0.7 | 0.0 | 1.2 |
| 2016 | 0.4 | 2.6 | 1.0 | 0.0 | 0.1 | 0.0 | -0.6 | 0.4 | 0.0 | -0.6 | 0.0 | 0.0 | 3.4 |
| 2017 | 0.5 | 2.0 | 0.0 | 0.1 | 1.2 | 0.0 | 0.1 | 0.7 | 0.0 | 0.5 | -0.8 | 0.0 | 4.2 |
| 2018 | -1.4 | -1.0 | 0.0 | -0.1 | 1.5 | 0.0 | -1.0 | 0.0 | 1.0 | 2.8 | 0.0 | 0.0 | 1.8 |
| 2019 | 0.3 | -0.1 | 1.5 | -1.8 | 0.0 | 0.8 | -0.6 | 0.0 | -2.4 | 1.4 | 0.0 | 0.1 | -0.8 |
Row
Rolling Performance Chart
Snail Trail Chart
